The locative is an archaic case that seems to have fallen out of use before classical times. It is still used in classical Latin, however, with a few words. Domus, -us, is one example.
Domi sum, I am at home.
The form here is the same as that of the genitive singular of a second declension noun. To express motion toward, you would use this form:
Eo domum. I go home.
This one looks like the accusative singular of a second or fourth declension noun, with no preposition as you would use with other words that don't take the locative.
Eo ad montem. I go to the mountain.
And to express motion away from, you would use this form:
Abeo domo. I go away from home.
This one looks like the ablative singular of a second declension noun. Once again, no preposition.
Discedo a taberna. I part from the hut.
There are only a few common words that take the locative, but it is commonly used with the names of cities and towns, like Roma, -ae itself.
Romam veni. I came to Rome.
And so forth. You get used to to it after a little while. The only really strange thing about it is that the locative of place where resembles a genitive, which is a little confusing.
Just remember that when you're taunting Roman oppressors, the proper phrasing is "Romani, ite domum!"